You can ask to surrender the annuity. If you have owned the annuity for less than seven years or so, you may have to pay a surrender charge. That fee can start at around 7% if you pull out in the first year you own the annuity, and then it typically declines by one percentage point a year until it disappears after seven or eight years. You also will have to pay income tax on all the investment earnings in your annuity, and if you are younger than 59 ½ you typically will be hit with a 10% early withdrawal penalty courtesy of the IRS.

Alternatively, you can opt to transfer your money to another annuity in what is known as a 1035 exchange. The surrender charge, if any, still applies, but you won't incur any tax or penalty. But this method has some risks, as you might have to pay another sales commission, and your surrender clock can also start over again.